Why do volumetrics render noisier when using GPU then when using CPU in Cycles?
The following answer is based on a Twitter thread by Stefan Werner.

Volumetric rendering on the CPU can be less noisy with fewer samples, because Cycles uses equi-angular sampling. This importance sampling technique by C. Kulla and M. Fajardo is currently not implemented for GPU rendering.

The slides from the Eurographics Symposium on Rendering 2012 may help to understand the paper.